Similar Search Results

Risk Arbitrage Opportunities for Stock Index Options

Post, Thierry - 2019

To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is … developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general …

Persistent link: https://www.econbiz.de/10012899380

Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options

Post, Thierry - 2023

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by …

Persistent link: https://www.econbiz.de/10014351229

Performance Measurement for Option Portfolios in a Stochastic Volatility Framework

Baule, Rainer - 2019

Measuring the performance of stock portfolios that include options is challenging due to options' nonlinearity in the … option factor, i.e., a portfolio of standard options exposed to volatility risk. We show that (i) any option factor is …

Persistent link: https://www.econbiz.de/10012900121

Firm decisions under jump-diffusive dynamics

Deopa, Neha; Rinaldo, Daniele - 2019

We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty related to information arrival, sudden changes and large...

Persistent link: https://www.econbiz.de/10011987374

Coherent price systems and uncertainty-neutral valuation : conference paper

Beißner, Patrick - 2013 - This version: 28 February, 2013

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

Persistent link: https://www.econbiz.de/10010338399

On securitization, market completion and equilibrium risk transfer

Horst, Ulrich; Pirvu, Traian A.; Reis, Gonçalo dos - 2010

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

Persistent link: https://www.econbiz.de/10003952854

Equilibrium pricing in incomplete markets under translation invariant preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...

Persistent link: https://www.econbiz.de/10009379444

Divergence and the price of uncertainty

Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015

divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage …

Persistent link: https://www.econbiz.de/10011507861

Bounding Security Prices in Incomplete Markets - Does Stochastic Volatility Matter?

Marroquin-Martinez, Naroa - 2010

We extend and generalize some results on bounding security prices under several stochastic volatility models that provide closed-form expressions for option prices. In detail, we have computed analytical expressions for benchmark and standard good-deal bounds. For all the models, our findings...

Persistent link: https://www.econbiz.de/10013135698

Pricing and Hedging GDP-linked Bonds in Incomplete Markets

Consiglio, Andrea - 2018

We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a by-product of the model we obtain a hedging portfolio. Using linear programming duality we compute also the risk...

Persistent link: https://www.econbiz.de/10012924126